Asset Pricing with Systematic Skewness: Then and Now

Dan Anghel, Petre Caraiani, Alina Rosu and Ioanid Rosu
Additional contact information
Dan Anghel: A.S.E. - The Bucharest University of Economic Studies / Academia de Studii Economice din Bucureşti
Alina Rosu: HEC Paris - Ecole des Hautes Etudes Commerciales
Ioanid Rosu: HEC Paris - Ecole des Hautes Etudes Commerciales

Working Papers from HAL

Abstract: We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We replicate and extend their paper. Overall, coskewness appears to be priced in the cross section of stocks, especially when using an alternative coskewness proxy like (i) the predicted systematic skewness (PSS) of Langlois (2020), where coskewness is predicted by various firm characteristics, or (ii) a modified PSS factor (mPSS) that uses only return-based characteristics.

Keywords: Skewness; coskewness; three-moment CAPM; persistent factors; expected return (search for similar items in EconPapers)
Date: 2021-07-08
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-03836999

DOI: 10.2139/ssrn.3872128

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().